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FDIC Working Papers Series

Table 2
Comparison of Rating Calibrations with Moody’s Historical Default Rates

Moody’s Rating	Historical One-Year Default Rates, 1983–1999	Oliver, Wyman & Company One- Year Default Probability
Aaa	0.00%	0.01%
Aa1	0.00	0.02
Aa2	0.00	0.03
Aa3	0.07	0.04
A1	0.00	0.05
A2	0.00	0.07
A3	0.00	0.09
Baa1	0.04	0.13
Baa2	0.07	0.18
Baa3	0.31	0.34
Ba1	0.62	0.63
Ba2	0.53	1.21
Ba3	2.52	2.25
B1	3.46	4.21
B2	6.88	7.86
B3	12.23	12.95
"Sources: Historical one-year default rates, 1983-1999, are from Keenan et al (2000), 27; Oliver, Wyman & Company one-year default probabilities from FDIC (2000), 29"

Last Updated 02/15/2002

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